Financial Risk Management

Program Director

Professor Chinmoy Ghosh

Professors

Chinmoy Ghosh

Assistant Professors

Efdal Misirli, Chanatip Kitwiwattanachai, Jose Martinez, Stephen Park

Assistant Professor in Residence

Michel Rakotomavo, Michel Oancea, Krishnamurthy Vaidyanathan

Adjunct Faculty

Thomas Woodruff PhD, Susan Mangiero PhD, Peter Went PhD, David Tyson PhD, Balan Nair PhD, Vladimir Ladyzhets PhD, Patrick Amon PhD, Haluk Akdogan PhD, Jerry Waldron PhD, Rich Cech JD, Robert Schott, Christopher Lewis, Tom Marshella, Edward Hayes, Frank Minerva, Tilak Lal, Tom Marshella, Donna Howe

The Master of Science in Financial Risk Management (MSFRM), a STEM designated program which allows the graduates an extended period of practical training upon graduation, is designed for business professionals who want to enhance their careers by fully understanding how to identify and manage various types of enterprise risk, with special focus on financial risk. The 15-month program, with a 19-month option offering a certificate in Quantitative Risk Analysis, emphasizes both rigorous theoretical and quantitative analysis, as well as practical and hands-on experience addressing real world risk management problems (i.e. enterprise risk including operational risk, compliance risk, political and cultural risk, regulatory risk, cyber risk, global risk and financial risk highlighting credit risk, interest rate risk, currency and market risk in asset and wealth management, arbitrage strategies, restructuring and combinations, and alternative investments).  Throughout the program, many workshops are given by regular faculty and practitioners to expose students to various risk management software currently used by the industry including Bloomberg, Morningstar, EViews, @RISK, Matlab, Fincad.

The MSFRM is a lock-step program which requires eleven 3-credit courses for a total of 33 credits (36 credits for international students) to be completed in four consecutive semesters – Fall, Spring, Summer, and Fall.  Because the program is lock-step, students are admitted only in the Fall semester.  Three 3-credit courses are offered each semester. The program requires eleven full-semester 3-credit courses for domestic students and twelve full-semester 3-credit courses for international students. A part-time option also exists for domestic students wanting to complete the program over several years.

The FRM program regularly invites practitioners and risk professionals to the campus to interact with the students.  Many of these professionals teach as adjunct faculty. Students have many opportunities to meet the professionals through the “Meet the Professional”, and “Professionals in the Classroom” series, and visits to corporate offices in the greater Fairfield County and greater Hartford areas. These informal meetings, in conjunction with the practitioner conferences in Stamford and Hartford sponsored by the FRM program, and the STEM designation have greatly enhanced the reputation of the program and the job prospects of the graduates.

The courses in the program fall into four categories: financial markets, financial risk modeling, financial risk management, and enterprise risk management including internal control and legal framework.

Financial Markets – 2 courses (6 credits)

The introductory 3-credit course is specially designed for students who have limited exposure to and familiarity with the US Capital market.  It provides an overview of financial markets with introduction to financial institutions and infrastructure, monetary and fiscal policy and various financial instruments and risk management. The second course in this module provides an overview of risk management and its importance in today’s global marketplace. The course examines all aspects of financial risk as well as the way financial institutions are regulated, to help students better understand financial markets and potential dangers. The course analyzes market risk, interest rate risk, credit risk, and foreign exchange risk, apart from allied issues like capital adequacy, securitization and the financial crisis.

Financial Risk Modeling – 3 courses (9 credits)

Three 3-credit courses provide mathematical and statistics background, covering topics such as discrete and continuous stochastic processes, stochastic calculus, statistical analysis of financial data, and the relation between stochastic processes and stochastic differential equations. The courses also provide exposure to a broad range of analytical techniques for asset valuation and risk management, time series analysis and forecasting techniques. Students learn numerical methods and Monte Carlo simulation techniques for solving practical asset valuation problems using various software and datasets currently in use by the industry.

Financial Risk Management – – 3 courses (9 credits)

Three 3-credit courses provide an in-depth discussion of underlying theory of risk assessment in asset valuation and financial markets, and the modeling and valuation of cash flows under uncertainty. The courses highlight market risk, credit risk, and fixed income and equity risk management.  They focus on development of estimation techniques for valuation, measurement and mitigation of risk of financial securities including equity and fixed income assets (MBS, CMBS), derivatives and exotics. Students also examine the use of risk management tools by financial institutions and hedge funds in constructing numerous strategies such as long and short, portable alpha, merger arbitrage, convertible arbitrage, and carry trades.

Enterprise Risk Management: Seminar and Business Projects – 4 courses (12 credits)

The applications area includes four 3-credit courses: one traditional course, two seminar-style courses that expose students to current practices and provide real project experience, and a capstone course which includes a business-sponsored project which requires a thesis for graduation. The traditional course in this area exposes students to accounting and legal issues associated with implementation of internal control systems.  This course provides the necessary background to identify and analyze the legal and accounting aspects of financial risk management. Accounting issues include provisions of the various standards setters (FASB, IASB), and relevant tax codes. The Sarbanes-Oxley rule of 2002 and its implications for governance and risk management are discussed. Legal aspects include compliance with regulation governing securities trading, disclosure, contract law and the fiduciary responsibility of financial institutions.

The two seminar courses (Special Topics and Applications) are delivered in a case format. These courses highlight various sources of risk in the corporate environment including operational risk, compliance risk, political and cultural risk, regulatory risk, cyber risk, and financial risk.  The objective of these seminar courses is to review the theory of decision-making under risk at the individual, corporate, and market-level; analyze why risk management matters to corporations; synthesize various theories of risk intermediation in the development of today’s market; and to illustrate these topics using a number of special sessions focused on both the qualitative and quantitative role of risk management in today’s economy.  Several modules are presented over two semesters, including Hedge Fund Strategies, Enterprise Risk Management, and Development & Implementations of Risk Management Models. The third and final capstone course is an applications course which requires the completion of a Masters project sponsored by an area business.  Teams of students work with a faculty advisor under the guidance of a business executive to analyze a business problem on risk with application of theory and statistical models.

 

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